The Basic D&D set covered levels 1-3, and it was assumed that at this level, you would mostly be adventuring in dungeons close to civilization -- small, self-contained environments where the danger level was fairly predictable.
The next set in the series, Expert D&D, took you through levels 4-14. You were now powerful enough to strike out on your own in open-ended kinds of adventuring -- traveling, exploring, and perhaps even taming the wilderness.
As you reached the next stage in the Companion rules (levels 15-25), you were ready to move beyond simply exploring things to begin to master some part of the world, to become a big shot in the campaign world, establishing (or conquering) a domain and facing the challenges of rulership.
The Masters rules covered levels 26-35 and dealt with extending your power into exotic locales and unusual situations in the world. It even dealt with venturing beyond the campaign world into the larger universe beyond -- the planes -- and making a name for yourself there. Pushing the boundaries of magic beyond the usual into artifacts and things of legend was within PC reach.
The final set was the Immortals rules, level 36, which put you face to face with the reality that your character was no longer just a successful adventurer but stood on the threshold of being a legendary superhero or even ascending into the pantheon of divinities. By designing the system this way, they answered for you the question of "what should my character do next?"
My players really seemed to enjoy it, too. Of course, the fact that they discovered a few artifacts at the end of their trip may admittedly have had something to do with it.
